X13 Procedure

(View the complete code for this example.)

This example illustrates how you can create a data set for use in the PICKMDL statement that contains five commonly used ARIMA models:

The following macro code creates a MDLINFOIN= data set for a general ARIMA model:

   %macro makemodel(name,p,d,q,sp,sd,sq,model);
      data "&name" (keep= _MODELTYPE_ _MODELPART_ _COMPONENT_
                          _DSVAR_ _PARMTYPE_ _FACTOR_ _LAG_
                            _LABEL_ );
         length _MODELTYPE_ _MODELPART_ _COMPONENT_ _DSVAR_
                _PARMTYPE_ $32;
         length _FACTOR_ _LAG_ 8;
         length _LABEL_ $32;

         _MODELTYPE_="ARIMA";
         _MODELPART_="FORECAST";
         _DSVAR_=".";

         _LABEL_="("||"&p"||" "||"&d"||" "||"&q"||")("||
                 "&sp"||" "||"&sd"||" "||"&sq"||")s";

         /* nonseasonal AR factors */
         _COMPONENT_="NONSEASONAL";
         _PARMTYPE_="AR";
         _FACTOR_=1;
         do _LAG_=1 to &p;
            output;
            end;

         /* seasonal AR factors */
         _COMPONENT_="SEASONAL";
         _PARMTYPE_="AR";
         _FACTOR_=2;
         do _LAG_=1 to &sp;
            output;
            end;

         /* nonseasonal MA factors */
         _COMPONENT_="NONSEASONAL";
         _PARMTYPE_="MA";
         _FACTOR_=1;
         do _LAG_=1 to &q;
            output;
            end;

         /* seasonal MA factors */
         _COMPONENT_="SEASONAL";
         _PARMTYPE_="MA";
         _FACTOR_=2;
         do _LAG_=1 to &sq;
            output;
            end;

         /* nonseasonal DIF */
         _COMPONENT_="NONSEASONAL";
         _PARMTYPE_="DIF";
         _FACTOR_=1;
         _LAG_=1;
         do i_=1 to &d;
            output;
            end;

         /* seasonal DIF */
         _COMPONENT_="SEASONAL";
         _PARMTYPE_="DIF";
         _FACTOR_=2;
         _LAG_=1;
         do i_=1 to &sd;
            output;
            end;

      run;
      data sasuser.&name;
        length _MODEL_ $32;
        set "&name";
        _MODEL_ = "&model";
      run;

   %mend makemodel;

The following SAS statements use the macro to generate a data set with some commonly used models for use in the PICKMDL statement:

%makemodel(x13mdl1,0,1,1,0,1,1,Model1);
%makemodel(x13mdl2,0,1,2,0,1,1,Model2);
%makemodel(x13mdl3,2,1,0,0,1,1,Model3);
%makemodel(x13mdl4,0,2,2,0,1,1,Model4);
%makemodel(x13mdl5,2,1,2,0,1,1,Model5);

data Models;
   length _NAME_ $32;
   set sasuser.x13mdl1 sasuser.x13mdl2 sasuser.x13mdl3
       sasuser.x13mdl4 sasuser.x13mdl5;
   _NAME_ = 'sales';
run;

The Models data set is shown in Output 45.9.1.

title '5 Commonly Used Models';
proc print data=Models;
run ;

The following statements request that the PICKMDL method be used to choose a model from the list of models that are defined in the Models data set. The default METHOD=FIRST option chooses the first acceptable model. The chosen model is shown in the mdlchosen data set in Output 45.9.2.

proc x13 data=sales date=date mdlinfoin=Models mdlinfoout=mdlchosen;
   var sales;
   transform function=log;
   pickmdl method=first;
run;

title 'Chosen Model';
proc print data=mdlchosen;
run ;

The following statements reverse the order of the models in the input data set. The default METHOD=FIRST option is used to select the model. The chosen model is shown in the mdlchosen data set in Output 45.9.3. With METHOD=FIRST, a different model is chosen because the order is changed.

data Models;
   length _NAME_ $32;
   set sasuser.x13mdl5 sasuser.x13mdl4 sasuser.x13mdl3
       sasuser.x13mdl2 sasuser.x13mdl1 ;
   _NAME_ = 'sales';
run;

proc x13 data=sales date=date mdlinfoin=Models mdlinfoout=mdlchosen;
   var sales;
   transform function=log;
   pickmdl method=first;
run;

title 'Chosen Model';
proc print data=mdlchosen;
run ;

The following example shows the use of PICKMDL statement option METHOD=BEST to select the model. The chosen model is shown in the mdlchosen data set in Output 45.9.4. With METHOD=BEST, a different model is chosen than either of the previous models chosen. Because the order in which the models occur in the MDLINFOIN= data set affects model selection when METHOD=FIRST is specified, it is a common practice to list models from the simplest model to the most complex in the MDLINFOIN= data set that is used in conjunction with the PICKMDL statement.

proc x13 data=sales date=date mdlinfoin=Models mdlinfoout=mdlchosen;
   var sales;
   transform function=log;
   pickmdl method=best;
run;

title 'Chosen Model';
proc print data=mdlchosen;
run ;